CWH Options History — January 2012

In January 2012, CWH traded between $17.02 and $19.76. ATM implied volatility averaged 22.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.3% (HV 20d: 24.9%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2012-01-17: Highest Volume — 61,269 contracts
  • 2012-01-11: Largest IV drop — 44.6% change
  • 2012-01-10: Highest IV Rank — 53.6%
  • 2012-01-05: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.78$17.02$19.76$17.02$19.67
Max Pain$19.38$15.00$22.50$20.00$20.00
ATM IV22.6%13.1%38.7%25.3%19.1%
Expected Move6.1%3.8%8.4%7.3%5.5%
HV 20d24.9%21.9%28.3%25.9%21.9%
HV 60d31.7%27.0%36.5%36.5%27.0%
IV Rank22.4%3.8%53.6%27.6%15.6%
IV Percentile36.6%1.2%73.0%51.6%24.2%
Term Structure6.1%-5.0%14.8%-5.0%6.0%
VWIV26.1%13.9%64.6%22.9%19.2%
Skew 25d11.1%-7.8%84.0%-7.8%-0.4%
Skew 10d12.6%-9.7%118.5%-2.5%-2.7%
Call IV 25d20.1%12.9%29.1%29.1%21.3%
Put IV 25d31.2%14.1%106.6%21.3%20.8%
Bid-Ask Spread %42.3217.86101.0917.8619.28
Gamma HHI0.420.370.570.370.42
Net GEX111.4K37.4K156.5K49.9K138.3K
Net DEX400.7K-4.1M4.6M4.6M-3.2M
Net VEX-23.7K-28.6K-16.4K-16.4K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.009.381.873.29
Total Volume3,439.85261,269112146
Total OI12,571.88,70515,42213,3969,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$17.02$20.0025.3%7.3%25.9%27.6%22.9%-7.8%-5.0%49.9K4.6M-16.4K1.8717.86N/AN/A39737,2206,176
2012-01-04$17.32$20.0022.8%6.5%26.5%22.8%24.6%-5.6%-2.5%69.0K4.6M-16.7K1.8719.39N/AN/A45847,2126,239
2012-01-05$17.85$20.0029.1%8.4%28.3%35.0%28.0%2.1%-4.6%110.3K3.4M-18.0K1.9251.76N/AN/A711367,2426,265
2012-01-06$17.86$15.0030.2%7.1%28.3%37.0%24.8%-6.1%4.1%109.5K3.4M-18.8K1.9427.72N/AN/A991927,2786,340
2012-01-09$18.06$15.0033.5%7.5%25.6%43.6%25.4%1.7%2.1%119.9K3.0M-18.9K1.0719.22N/AN/A1011087,3606,446
2012-01-10$18.56$17.5038.7%7.4%25.2%53.6%25.9%5.9%3.5%119.9K1.9M-22.3K0.99101.09N/AN/A1,2911,2757,4346,520
2012-01-11$18.87$17.5021.4%5.2%25.1%20.1%27.5%12.2%11.3%129.4K1.1M-28.3K3.0176.27N/AN/A672028,1817,069
2012-01-12$18.90$17.5019.3%5.5%23.0%15.8%0.0%11.9%10.6%119.9K829.2K-28.6K0.7146.70N/AN/A72518,2327,190
2012-01-13$18.80$17.5019.1%5.5%23.4%15.5%0.0%11.7%10.8%120.0K1.0M-27.2K0.1647.08N/AN/A196328,2007,182
2012-01-17$19.07$17.5018.6%5.3%23.4%14.6%32.0%17.4%13.6%142.3K686.6K-25.2K0.0033.48N/AN/A61,1291408,1277,182
2012-01-18$18.57$17.5026.2%7.5%26.3%29.3%13.9%7.6%6.5%37.4K3.3M-22.9K0.47101.09N/AN/A4201966,8047,205
2012-01-19$18.74$22.5017.0%4.9%25.2%11.3%0.0%-3.8%14.8%72.2K2.1M-25.0K0.1432.75N/AN/A350497,1557,033
2012-01-20$19.17$22.5019.8%5.7%25.8%16.9%64.6%4.9%11.8%156.5K1.4M-25.4K1.6745.39N/AN/A39657,5017,032
2012-01-23$19.14$22.5013.1%3.8%25.9%3.8%0.0%1.5%10.8%93.6K-2.0M-24.2K0.1232.27N/AN/A699874,6334,072
2012-01-24$19.32$22.5016.7%4.8%24.3%10.8%0.0%7.0%12.5%114.9K-3.0M-25.9K0.0833.75N/AN/A237205,1744,148
2012-01-25$19.69$22.5021.3%6.1%24.4%19.8%21.4%82.3%4.4%121.9K-3.6M-26.0K0.2720.88N/AN/A3831025,2004,148
2012-01-26$19.64$20.0020.2%5.8%24.6%17.6%20.3%-2.3%4.4%128.3K-3.8M-25.7K0.4765.60N/AN/A168795,2944,048
2012-01-27$19.76$20.0020.8%6.0%22.0%18.8%20.8%84.0%3.6%136.0K-4.1M-25.4K0.2735.92N/AN/A41115,3954,111
2012-01-30$19.58$20.0020.7%5.9%22.8%18.6%20.7%-1.4%3.3%139.3K-3.5M-26.1K9.3818.96N/AN/A292725,4344,114
2012-01-31$19.67$20.0019.1%5.5%21.9%15.6%19.2%-0.4%6.0%138.3K-3.2M-26.5K3.2919.28N/AN/A341125,4634,377